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30
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2answers
2k views

An Entropy Inequality

Let $X,Y$ be probability measures on $\{1,2,\dots,n\}$, and set $K=\sum_i\sqrt{X(i)Y(i)}$ so that $Z:=\frac{1}{K}\sqrt{XY}$ is also a probability measure on $\{1,2,\dots,n\}$. How can we prove the ...
18
votes
2answers
1k views

An Entropy Inequality (generalized)

Let $X,Y$ be probability measures on $\{1,2,\dots,n\}$. For $0\le \alpha \le 1$, set $K=\sum_i X(i)^\alpha Y(i)^{1-\alpha}$ so that $Z:=\frac{1}{K}X^\alpha Y^{1-\alpha}$ is also a probability measure ...
17
votes
8answers
2k views

When do people actually use the maximum entropy distribution?

One of the standard problems in convex optimization is the calculation of the maximum entropy distribution that satisfies some set of criteria. For example, if $\mathbf{x} \in \mathbb R^n$ is an ...
16
votes
3answers
613 views

Intrinsic significance of differential entropy

Many commentators (e.g. Jaynes, Rota) argue that the notion of "differential entropy" is problematic (as commonly defined by $ h(X) = \int ( \log\frac{1}{p(x)} ) p(x) \, dx $, where $X$ is a random ...
16
votes
1answer
1k views

Gini Coefficient and Renyi Entropy

Gini coefficient (aka Gini Index) is a quantity used in economics to describe income inequality. It is 0 for uniformly distributed income, and approaches 1 when all income is in hands of one ...
12
votes
1answer
1k views

System with invariant measure, but no ergodic measure.

Question Examples of continuous transformations $T: X \to X$ such that the family of invariant probability measures $M(T)$ is NOT empty but there is no ergodic measure ($E(T) = \emptyset$). Notice ...
12
votes
0answers
199 views

Entropy in elimination theory, or a brief remark by Gelfand-Kapranov-Zelevinsky

In the introduction to their book "Discriminants, resultants and multidimensional determinant", the authors state a very intriguing observation concerning the coefficients of monomials appearing in $A$...
11
votes
3answers
809 views

Supremum amongst Kolmogorov-Sinai entropies: ergodic or just invariant measures.

Cases where $sup_{\mu \in E(T)} h_\mu(T) \neq \sup_{\mu \in M(T)} h_\mu(T)$. Background For a topological space $X$, let $T: X \to X$ be a continuous application. Then, call the set of $T$-...
11
votes
1answer
703 views

Entropy of edit distance

The edit or Levenshtein distance between two strings is the minimum number of single character insertions, deletions and substitutions to transform one string into another. If we take random binary ...
10
votes
1answer
2k views

What's the maximum entropy probability distribution given bounds [a,b] and mean?

What is the continuous probability distribution that maximizes entropy, given only the bounds of the random variable [a,b] and the mean mu of the probability distribution? For example: if a=0, b=1, ...
10
votes
2answers
1k views

Proving a messy inequality

EDIT: After much work I was able to reduce the inequality to a single variable function which I need to show is non-positive. That function is (for $0\leq p\leq\frac{1}{2}$) $$\frac{p^2(\log(p))^2 - (...
9
votes
2answers
433 views

Entropy for Haar measure on $O(n)$

Let $G$ be a locally compact group. A measure $\mu$ is the right-Haar measure on $G$ if for every $g\in G$ and $E\subseteq G$ Borel set $\mu(Eg)=\mu(E)$. It is known that every locally compact group ...
9
votes
2answers
480 views

Expected centered entropy of the binomial distribution

In short, the function I am interested in is the following: $$I_n(p) = \sum_{k=0}^n \binom{n}{k} p^k (1-p)^{n-k} \left[h(p) - h\left(\tfrac{k}{n}\right)\right],$$ where $h(x) \triangleq -x \log x - (1-...
8
votes
1answer
8k views

How to compute KL-divergence when PMF contains 0s?

From the Wikipedia page on Kullback-Leibler divergence, the way to compute this metric is to utilize the following formula: The way I understand this is to compute the PMFs of two given sample sets ...
8
votes
2answers
457 views

Inequality in information theory

I am reading the paper "chain independence and common information" (http://ttic.uchicago.edu/~yury/papers/independ.pdf). In this paper, an inequality is used several times (without proof) which looks ...
8
votes
1answer
1k views

Entropy of first return map and suspension flows

There are some well know formulas of Abramov about derived systems. Firstly let $(X,\mu,f)$ be a probability preserving system and $A\subset X$ is measurable such that $\bigcup_{n\ge0}f^nA=X$. Let $\...
8
votes
1answer
2k views

Entropy of the Ising model

Consider the standard Ising model on $[0,N]^2$ for $N$ large. By that I mean the square-lattice Ising model without external field, inside an $N$-by-$N$ square. What is its entropy for $N$ large? It ...
8
votes
1answer
235 views

Higher moments of information and Renyi entropy

For a given discrete probability distribution, Shannon entropy can be though as an expectation value $\langle - \log p \rangle$ (see also: What is entropy, really?, What is the role of the logarithm ...
8
votes
2answers
378 views

Entropy conjecture for distributions over $\mathbb{Z}_n$

Suppose we have two independent random variables $X$ (with distribution $p_X$) and $Y$ (with distribution $p_Y$) which take values in the cyclic group $\mathbb{Z}_n$. Let $Z = X +Y$, where the ...
7
votes
2answers
218 views

Estimating entropy conditional to an event

Take for example the measure $\mu(n)=n^2$ on $\{1, \ldots, N\}$ and a random variable $X$ distributed according to the probability obtained by normalizing $\mu$. Does there exists a constant $K>0$...
7
votes
1answer
817 views

Bounding the entropy of a convolution

Say we have a function $f:\mathbb{Z}_2^n \to \mathbb{R}$, such that $\sum _{x\in \mathbb{Z}_2^n} f(x)^2 = 1$ (so we can think of $\{ f(x)^2\} _{x\in \mathbb{Z}_2^n}$ as a distribution). It is natural ...
7
votes
2answers
327 views

Maximal entropy distribution with given conditionals

It is well known that of all the joint distributions $p(x,y)$ with fixed marginals $p(x),p(y)$, the one with the highest entropy is: $$ p(x,y)=p(x)p(y). $$ Suppose instead that we have conditionals. ...
6
votes
2answers
288 views

Entropy of nested compact invariant sets

Let $f$ be a homeomorphism on a compact metric space $X$. $K_1\supset K_2\supset\cdots \supset K$ are compact subsets of $X$ such that $f(K_n)=K_n$ and $K=\bigcap K_n$. If $h(f, K_1)<\infty$, do we ...
6
votes
2answers
297 views

Maximum entropy priors in infinite dimensional spaces

Is there an extension of maximum entropy probability distributions for function spaces? For $\mathbb{R}^n$ and discrete spaces, there is much literature about this problem under names such as "non-...
6
votes
1answer
248 views

A geometric/topology notion of Typical Sequences? Power of typical sequences in multiuser channels?

The idea of Typical sequences(http://en.wikipedia.org/wiki/Typical_set) is a crucial concept in Shannon's proof of the Noisy channel coding theorem. Unfortunately the notion is not sufficient to ...
6
votes
1answer
235 views

Finding discrete entropy via differential entropy

In a recent math.se question the following was asked which I have slightly edited. " Consider a fixed and given $n$ by $n$ matrix $M$ whose elements are chosen from $\{-1,1\}$. Consider also a random ...
6
votes
0answers
238 views

Maximizing Renyi entropy for a certain channel

The channel under consideration is $T = A + B$, where $A$ and $B$ take on values in $\{0, 1\}$ according to a probability mass function. Let (joint) random vector $(A_1, A_2,\ldots, A_n)$ be denoted ...
5
votes
2answers
227 views

General additive function of probability

Let $H$ be a function of finite sequences of probabilities (non-negative numbers summing up to 1) into real numbers, such that: $H$ is continuous, $H$ is symmetric w.r.t. the order of its arguments, ...
5
votes
0answers
66 views

Basis functions for approximation of a convex function on unit simplex

Consider the unit $D$-simplex $S^D=\left\lbrace (x_0, x_1, \ldots, x_D) \in \mathbb{R}^{D+1} \mid \sum\limits_{i=0}^{D}x_i = 1, x_i \geq 0 \right\rbrace$. I have a bounded, convex function $f:S^D\to\...
4
votes
2answers
1k views

Is there a simple relation between the entropy of a matrix and its characteristic polynomial?

Assume $M$ is an invertible positive matrix of rank $N$. The Von Neumann entropy $H$ of a matrix $M$ with eigenvalues $\{ \lambda_n \}$ is $H[M] = -\sum_{n=1}^N \lambda_n \ln \lambda_n$. In ...
4
votes
1answer
594 views

Low degree polynomial approximation for the entropy function

Let $X$ be a discrete random variable with possible values $\{x_1,\ldots,x_n\}$, and let $p$ denote the probability mass function of $X$. In addition, denote $p_i=p(x_i)$. The entropy of $X$ is ...
4
votes
3answers
590 views

Incremental entropy computation

After a quick internet search I found no method for incremental entropy computation. Question 1 Let $\{x_i\}_{i=1}^n$ and $\{x_i\}_{i=1+n}^{n+m}$ be two samples and let $S_i^j:=\sum_{k=i}^j x_k$. ...
4
votes
1answer
210 views

Is there a one-dimensional subshift of positive entropy s, all of whose sub-subshifts also have entropy s?

A subshift is a subset $X$ of $A^\mathbb{N}$ or $A^\mathbb{Z}$ (with $A$ finite), such that $X$ is topologically closed and closed under the shift operation. The shift operation is defined by $\sigma(...
4
votes
1answer
423 views

Infinitely Divisible Distributions and Maximal Entropy

The normal distribution on $\mathbb{R}$, the exponential distribution on $\mathbb{R}_{\geq 0}$, and the geometric distribution on $\mathbb{N}$ are examples of distributions that are both infinitely ...
4
votes
1answer
432 views

Upper bound on joint Renyi entropy

Renyi entropy of a random pair $(X,Y)$ with probability distribution $p_{X,Y}$ is defined by \begin{equation} H_\alpha(X,Y) = \frac{1}{1-\alpha}\log\sum_{x,y} p_{X,Y}(x,y)^\alpha. \end{equation} ...
4
votes
2answers
263 views

Entropy equals zero?

Imagine you have a shift invariant ($\sigma$-invariant) probability measure $\eta$ in the Bernoulli space $\{0,1\}^{\mathbb{N}}$. Define $\mathcal{P} = \{[0],[1]\}$; $\mathcal{P}^{n} = \mathcal{P}\...
4
votes
1answer
229 views

Do binary symmetric channels maximize mutual information?

Consider the following setup: $(X, Y)$ is a doubly symmetric binary source with parameter $0 < p < 1/2$, i.e., $X \sim \text{Bernoulli}(1/2)$, $Z \sim \text{Bernoulli}(p)$ and $Y = X \oplus Z$. ...
4
votes
0answers
101 views

$q$-deformations of fundamental equation of information and entropies

Classical information theory: fundamental equation of information In classical information theory, the information $I(A)$ of an event $A$ (any element of the $\sigma$-algebra $\mathcal F$ of a given ...
4
votes
0answers
677 views

Entropy conjecture for flows

The entropy conjecture for diffeomorphisms (see for example this paper) asserts that for diffeomorphisms of manifolds, the log of the spectral radius of the actions of the diffeomorphism on the ...
3
votes
3answers
2k views

The relations between the Perelman's entropy functional and notions of entropy from statistical mechanics

I am looking for the relations and analogies between the Perelman's entropy functional,$\mathcal{W}(g,f,\tau)=\int_M [\tau(|\nabla f|^2+R)+f-n] (4\pi\tau)^{-\frac{n}{2}}e^{-f}dV$, and notions of ...
3
votes
3answers
224 views

Maximizing entropy under constraints

This question is about an extension of the variational principle in thermodynamical formalism when one adds linear constraints to the measures. Consider the one-sided shift $\sigma:\mathcal{A}^\...
3
votes
2answers
175 views

Estimate entropy of a binary process in terms of decay of correlations

Suppose $( X_{n} )$ is an ergodic binary process with $$ \mathbb P(X_{n}=1)= \mathbb P(X_{n}=0)=\frac 12. $$ Naturally the entropy (rate) $h(X)$ of $X=(X_{n})$ satisfies $$ h(X)=\lim_{n\to\infty} \...
3
votes
1answer
862 views

Convergence of Markov chains in terms of relative entropy

Consider a finite state, irreducible Markov chain with a rate matrix $Q$ and a stationary distribution $\pi$. Suppose the chain starts with the initial distribution $p$ at time $0$, then at time $t$ ...
3
votes
1answer
410 views

Simple reason that a mathematician cannot do better than random when guessing contents of a box?

I have a question about the finite analog of the puzzle proposed here involving mathematicians guessing the contents of boxes. Specifically, suppose there are $k$ unopened boxes each containing a ...
3
votes
1answer
183 views

Ising entropy of a finite L_1 x L_2 lattice

We know the entropy per site of the 2-d Ising model from Onsager's solution. Has anybody also calculated the entropy for a finite rectangle of size L_1 x L_2 with periodic boundary conditions (i.e. on ...
3
votes
2answers
1k views

Optimization of relative entropy

Wondering if my following question is an application of information theory: Lets say we have a factory and ship boxes of stuff outside. If a competitor stands outside my factory, observes the stream ...
3
votes
1answer
266 views

Information theory from negative probability

Szekely provides a convincing argument of negative probability here: http://www.wilmott.com/pdfs/100609_gjs.pdf What does a reformulation of classical information theory built from negative ...
3
votes
1answer
164 views

Example of Girsanov change of density with finite relative entropy, but with infinite integral over squared changed drift

Let $(\Omega, (\mathcal F_t), \mathbb P)$ denote the usual Wiener space where $\Omega = C[0,\infty)$, etc., and where $(W_t)_{t \geq 0}$ denotes the Wiener process. Let $Z \in L^1(\mathbb P)$ with $Z &...
3
votes
1answer
257 views

Convolution of measures - entropy growth

Imagine you have two shift-invariant measures $\mu, \nu$ in the Bernoulli space $\{0,1\}^{\mathbb{N}}$ with positive entropy and both are not the Bernoulli measure $(\frac{1}{2},\frac{1}{2})$. I know ...
3
votes
1answer
138 views

Average entropy of quantum system in bipartite pure state for finite temperature

[I got halfway through writing this when I found the paper that answers the question in (essentially) the affirmative. I'll post it anyways in case anyone is interested.] Background: If a random ...